Probability Analysis: Tools for SPY Options Trading
Hover over any point on the chart to see the probability of expiring above that strike price!
Expected Move Formula
\( EM = S \times \sigma \times std \times \sqrt{\tfrac{DTE}{365}} \)
- Volatility σ: VIX as the proxy value for SPY options pricing.
- Probability Analysis: The probability of expiring above one strike price on a certain day is measured by option deltas.
SPY Expected Move
| Expiration | Oct 20 (2D) | Oct 21 (3D) | Oct 22 (4D) | Oct 23 (5D) | Oct 24 (6D) | Oct 27 (9D) | Oct 28 (10D) | Oct 29 (11D) | Oct 30 (12D) | Oct 31 (13D) | Nov 07 (20D) | Nov 14 (27D) | Nov 21 (34D) | Nov 28 (41D) | Dec 05 (48D) | Dec 12 (55D) | Dec 19 (62D) | Dec 26 (69D) |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| lower | 654.17 | 651.874 | 649.937 | 648.231 | 646.689 | 642.711 | 641.538 | 640.423 | 639.357 | 638.335 | 632.073 | 626.841 | 622.253 | 618.118 | 614.324 | 610.798 | 607.489 | 604.363 |
| upper | 674.61 | 676.906 | 678.843 | 680.549 | 682.091 | 686.069 | 687.242 | 688.357 | 689.423 | 690.445 | 696.707 | 701.939 | 706.527 | 710.662 | 714.456 | 717.982 | 721.291 | 724.417 |
| expected move | 10.22 | 12.516 | 14.453 | 16.159 | 17.701 | 21.679 | 22.852 | 23.967 | 25.033 | 26.055 | 32.317 | 37.549 | 42.137 | 46.272 | 50.066 | 53.592 | 56.901 | 60.027 |
Nianguang Zhao '25G, Master's in Financial Engineering at Lehigh University | Aspiring Quant | Cleared CFA Level 1
